ETRACS Quarterly Downside Variance
| MLPR ETF | | | USD 73.40 1.23 1.70% |
Downside Variance (or DV) is measured by target semi-variance and is termed downside volatility. It is expressed in percentages and therefore allows for rankings in the same way as variance. One way to view downside volatility is the annualized variance of returns below the target. Below is ETRACS Quarterly's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
The current Downside Variance of 1.7 places ETRACS Quarterly at moderate price variability. This places ETRACS Quarterly within the typical volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 1.7 | |
| SUM | = | Summation notation |
| RET DEV | = | Actual returns deviation over selected period |
| N(ER) | = | Number of points with returns less than expected return for the period |
Downside Variance Peers Comparison
Relative to peers, ETRACS Quarterly's Downside Variance is below the group average of 3.77. Peer readings range from 0.5388 (ProShares UltraShort 7 10) to 7.52 (ETRACS 2x Leveraged), reflecting wide dispersion across the sector. ETRACS Quarterly has exhibited less price dispersion than the peer average over the measured period.
Downside Variance Relative To Other Indicators
The chart below plots Downside Variance against Maximum Drawdown for ETRACS Quarterly and its peers. Each point represents one equity — position along the horizontal axis shows Downside Variance while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
ETRACS Quarterly's Downside Variance reads
1.70 while Maximum Drawdown reads
7.04 , a
4.14 ratio between the two. This indicates Maximum Drawdown is significantly higher than Downside Variance for ETRACS Quarterly.
Methodology, Assumptions & Data Sources
ETRACS Quarterly has a current Downside Variance reading of 1.7. This Downside Variance reading for ETRACS Quarterly results from applying the indicator's calculation rules to price and volume data over the selected window. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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